Discrete-time approximation of multidimensional BSDEs with oblique reflections
From MaRDI portal
Publication:433900
DOI10.1214/11-AAP771zbMath1243.93128arXiv1210.1407MaRDI QIDQ433900
Jean-François Chassagneux, Idris Kharroubi, Romuald Elie
Publication date: 8 July 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.1407
discrete time approximation; bacjkward stochastic differential equations (BSDEs) with oblique reflections; switching problems
93C55: Discrete-time control/observation systems
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
65C99: Probabilistic methods, stochastic differential equations
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